Scientific Beta

A recent Scientific Beta publication examines equity strategies that exploit information in ESG ratings, following several papers that suggest that these strategies lead to outperformance. While many of the ESG strategies have positive returns, we found that adjusting these returns for risk shrinks “alpha” (or excess risk-adjusted return) to zero. Sector biases and exposures to equity style factors capture the returns of ESG strategies. In addition, our analysis suggests that returns are inflated when investor attention to ESG rises. This webinar will present the details of our research and will explain the implications for investors.

Overview

In a recent Scientific Beta publication, we examine equity strategies that exploit information in ESG ratings, following several papers that suggest that these strategies lead to outperformance. While many of the ESG strategies have positive returns, we found that adjusting these returns for risk shrinks “alpha” (or excess risk-adjusted return) to zero. Sector biases and exposures to equity style factors capture the returns of ESG strategies. In addition, our analysis suggests that returns are inflated when investor attention to ESG rises.

Our findings do not question that ESG strategies can offer substantial value to investors. Instead, we suggest that investors who look for added value through outperformance are looking in the wrong place.

At this webinar, we will present the details of our research and we will explain the implications for investors.

Topics covered include:

• Designing equity strategies that capture different ESG dimensions
• What is the incremental value of ESG scores when accounting for equity style factors and sector biases?
• Do ESG strategies reduce downside risk exposure?
• How has investor attention to ESG investing evolved and what is the impact on portfolio performance?

Host

Felix Goltz, PhD, is Research Director at Scientific Beta. He has been with Scientific Beta since inception. He carries out research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks, including the Journal of Portfolio Management, the Financial Analysts Journal, the Journal of Index Investing, the Journal of Investment Management and the Handbook of Finance (Wiley). He obtained an MSc and a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.

Date/Time:

Thursday 17 June, 2021 (choice of two different sessions):

• Morning session: 3.00pm Singapore Time / 4.00pm Japan Time / 9.00am CEST; or
• Afternoon session: 12.00pm EDT / 9.00am PDT / 6.00pm CEST.